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Re: st: moving average.. conditioning on a date


From   Nick Cox <[email protected]>
To   [email protected]
Subject   Re: st: moving average.. conditioning on a date
Date   Mon, 5 Nov 2012 09:05:15 +0000

Sorry, but this makes no sense to me.

If the rule is at most 30 days before, then Sept 5 qualifies for Sept 7.

Conversely, if the rule is at most the previous 2 days, the earlier
example appears inconsistent with that rule.

I leave you to work out what your rule(s) really are. In terms of
Stata technique you may find

SJ-7-3  pr0033  . . . . . . . . . . . . . .  Stata tip 51: Events in intervals
        . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  N. J. Cox
        Q3/07   SJ 7(3):440--443                                 (no commands)
        tip for counting or summarizing irregularly spaced
        events in intervals

of use. There is a .pdf freely accessible at

http://www.stata-journal.com/sjpdf.html?articlenum=pr0033

Nick

On Mon, Nov 5, 2012 at 8:16 AM, Francesco <[email protected]> wrote:
> Dear Nick,
>
> Many thanks for your very interesting suggestion. Tsspell should do
> the job indeed
> However the condition I am interested in is slighly more complicated
> (at least for me) than the one I used in the above minimal example
> I would like to obtain a running sum of all X's observations that
> occur -at most- 30 days before the current date
>
>  So the example I gave was correct
> 1    sep-7   1    2
> because I only consider observations -at most - one day from the
> current observation .. that is sep 7th and sept 6th but not sept 5th
> because it is two days from sept 7th
>
> Do you know how to express this with Stata's lag operators?

On 5 November 2012 01:48, Nick Cox <[email protected]> wrote:

>> If I understand this correctly, Francesco wants running sums to be
>> calculated within spells of consecutive days, and separately by
>> panels.
>>
>> Identifying spells of consecutive dates is an FAQ
>>
>> FAQ     . . . . . . Identifying runs of consecutive observations in panel data
>>         . . . . . . . . . . . . . . . . . . . . . . . N. J. Cox and V. Wiggins
>>         8/02    How do I identify runs of consecutive observations
>>                 in panel data?
>> http://www.stata.com/support/faqs/data-management/identifying-runs-of-consecutive-observations/
>>
>> One solution covered there is to use -tsspell- from SSC
>>
>> . tsset id date
>> . tsspell, f(L.date == .)
>> . bysort id _spell (_seq) : gen Y = sum(X) if _spell
>> . by id _spell : gen aveY = Y/_seq
>>
>> Here I am guessing that the moving average required is running
>> sum/number in sequence
>>
>> I am also guessing that the example should end
>>
>>  1    sep-7   1    3
>>
>> Note that unbalanced panels in no sense rule out the use of time
>> series operators.
>>
>> The -egen- function -filter()- is from -egenmore- (SSC).
>>
>> See also
>>
>> SJ-7-2  dm0029  . . . . . . . . . . . . . . Speaking Stata: Identifying spells
>>         . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  N. J. Cox
>>         Q2/07   SJ 7(2):249--265                                 (no commands)
>>         shows how to handle spells with complete control over
>>         spell specification
>>
>>
>> Nick
>>
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